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A new robust importance-sampling method for measuring value-at-risk and expected shortfall allocations for credit portfolios
Publication details
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Journal:
The Journal of Credit Risk, vol. 6, p. 113–149–37, 2010
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International Standard Numbers:
- Printed: 1744-6619
- Electronic: 1755-9723
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- A new robust importance-sampling method for measuring value-at-risk and expected shortfall allocations for credit portfolios